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| George Tauchen, William Henry Glasson Professor of Economics and Professor of Finance
- Contact Info:
Teaching (Fall 2012):
- ECON 486S.01, HONORS SENIOR WORKSHOP:FINANCE
Synopsis
- TBA, M 06:15 PM-08:45 PM
- ECON 957S.01, RSRCH SEM: FINANL ECONOMETRICS
Synopsis
- Social Sciences 113, M 11:45 AM-01:00 PM
- Education:
| PhD | University of Minnesota | 1978 |
| BA | University of Minnesota | 1971 |
- Specialties:
-
Econometrics
Financial Economics
- Research Interests: Econometrics, Financial Economics
Professor Tauchen's research areas are financial economics and time series econometrics. He is a fellow of the Econometric Society, the American Statistical Association, and the Journal of Econometrics. He has published numerous articles in the areas of econometrics and financial economics. Professor Tauchen presents his research findings internationally in such cities as Buenos Aires, Taipei, Helsinki, Sydney, Paris, Madrid, Vienna, Tokyo, Chile, and London. He regularly gives research seminars at major research universities and institutions world-wide.
- Areas of Interest:
- Econometrics
Financial Economics
- Curriculum Vitae Bio
- Current Ph.D. Students
(Former Students)
- Working Papers
(More Publications)
- G. Tauchen and V. Todorov, Realized Laplace Transforms for Pure-Jump Semimartingales,
(revision resubmitted Annals of Statistics )
(2011)
- G. Tauchen and V. Todorov, Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions,
(submitted)
(2011)
- G. Tauchen , T. Bolerslev, N. Sizova, and D. Osterrieder, Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability,
(submitted)
(2011)
- G. Tauchen, Stochastic Volatility in General Equilibrium
(Summer, 2005)
- G. Tauchen with A. R. Gallant, SNP: A Program for Nonparametric Time Series Analysis
(Summer, 2004) [htm]
- G. Tauchen, Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis
(Summer, 2004)
- G. Tauchen, M. Chernov, A. R. Gallant, and E. Ghysels, A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
(1999) (under revision.)
- Recent Publications
(More Publications)
- G. Tauchen, SNP: A Program for Seminonparametric Estimation
(2012-1) (Software suite managed by Gallant and Tauchen, public domain..)
- G. Tauchen with A. R. Gallant, EMM: A Program for Efficient Method of Moments
(Summer, 2012) [htm]
- G. Tauchen and V. Todorov, The Realized Laplace Transform of Volatility,
Econometrica, Forthcoming
(Accepted, 2012)
- G. Tauchen , T. Bollerslev, and N. Sizova, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,
Review of Finance, vol. 16
(2012),
pp. 31–80
- G. Tauchen, Stochastic Volatility in General Equilibrium,
Quarterly Journal of Finance, Forthcoming
(Accepted, 2012)
- Conferences Organized
- Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronal Gallant, Co-Chair, 1 May 2011
- 2007 North American Summer Meeting of the Econometric Society, Program Chair, March 1, 2006 - December 31, 2007
- Conference on the Risk Neutral and Objective Probability Distributions, Co-Organizer, October 2000
- 1997 NSF-NBER Time Series Meeting, Co-organizer, October 1997
- Conference on New Computational Methods in Economics and Finance, Co-organizer, September 1995
- CIRANO/CRDE International Conference on Stochastic Volatility, Co-organizer, October 1994
- Triangle Econometrics Conference, Co-organizer, December 1993-1998
- Workshop on Nonlinear Dynamic Models, Organizer, 1989
- Conference on Nonparametric and Semiparametric Methods in Statistics and Econometrics, Co-organizer, May 1988
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